Minimum density power divergence estimator for Poisson autoregressive models

作者：Kang Jiwon; Lee Sangyeol^*

来源：Computational Statistics & Data Analysis, 2014, 80: 44-56.

DOI：10.1016/j.csda.2014.06.009

• Density-based divergence measures
• Robust estimation
• Poisson autoregressive model
• Integer-valued GARCH model
• Consistency
• Asymptotic normality

The robust estimation for Poisson autoregressive models is studied. As a robust estimator, a minimum density power divergence estimator (MDPDE) is considered. It is shown that under regularity conditions, the MDPDE is strongly consistent and asymptotically normal. Simulation results are provided for illustration. A real data analysis is implemented for the polio incidence data.

• 出版日期2014-12